Search results with tag "Introduction to merton jump diffusion"

Introduction to Merton Jump Diffusion Model - Matsuda Lab

this jump process adds three extra parametersλ, µ, and δ (to the original BS model) which give the users to control skewness and excess kurtosis of the P ( ln( SS T / 0 ) ) . Merton’s original approach for pricing is to use the conditional normality of MJD model

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